5 papers
Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control
Salvatore Federico, Giorgio Ferrari, Mauro Rosestolato
In this note, we demonstrate that a locally semiconvex viscosity supersolution to a possibly degenerate fully nonlinear elliptic Hamilton-Jacobi-Bellman (HJB) equation is different…
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial mod…
Existence and uniqueness results for a mean-field game of optimal investment
Alessandro Calvia, Salvatore Federico, Giorgio Ferrari +1
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and…
Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
Jodi Dianetti, Salvatore Federico, Giorgio Ferrari +1
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals co…
Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
Salvatore Federico, Giorgio Ferrari, Maria-Laura Torrente
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a…